Financial Statistics Conference Program

 

Friday, September 26
 

9:15 AM  
Registration and Breakfast


9:50 AM 
Opening Remarks


10:00 AM 
Eric Moulines   Telecom Paris Tech (ENST) and CNRS
Uniform Ergodicity of the Particle Gibbs Sampler


10:40 AM 
Qiwei Yao   London School of Economics
Estimation of Extreme Quantiles for Functions of Dependent Random Variables


11:20 AM 
Zhengjun Zhang  University of Wisconsin at Madison
Copula Structured M4 Processes with Application to High-Frequency Financial Data


12:00 - 1:30 PM 
Lunch


1:30 PM 
Zheng Tracy Ke   University of Chicago
Covariate Assisted Multivariate Screening


2:10 PM 
Wei Biao Wu   University of Chicago
Estimation of High-dimensional Vector Auto-regressive Processes


2:50 - 3:30 PM 
Break


3:30 PM 
Clifford Hurvich   NYU
Drift in Transaction-Level Asset Price Models


4:10 PM 
Ruey Tsay   University of Chicago
Time Evolution of Income Distributions


5:00 - 6:00 PM 
Reception


 

Saturday, September 27
 

9:30 AM 
Registration and Breakfast


10:00 AM 
Laurent E. Calvet   HEC Paris
Robust Filtering


10:40 AM 
Eric Renault   Brown University
Indirect Inference for Estimating Equations


11:20 AM 
Jianqing Fan   Princeton University
Projected Principal Component Analysis for Factor Models


12:00 - 1:30 PM 
Lunch


1:30 PM 
Nikolaus Hautsch   University of Vienna
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence


2:10 PM 
Lan Zhang  University of Illinois at Chicago
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance


2:50 to 3:30 PM 
Break


3:30 PM 
Ilze Kalnina  University of Montreal
The Idiosyncratic Volatility Puzzle: A Reassessment at High Frequency


4:10 PM 
J. E. Figueroa-Lopez   Purdue University
Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models


 

Sunday, September 28
 

9:30 AM 
Registration and Breakfast


10:00 AM 
Rong Chen   Rutgers University
Dynamic Modeling and Prediction of Risk Neutral Densities


10:40 AM
Marc Hallin   ECARES, Univesite libre de Bruxelles and ORFE,
                     Princeton University
General Dynamic Factors and Volatilities


11:20 AM 
Ching-Kang Ing   Academia Sinica, Taipei
Toward Optimal Model Averaging in Regression Models with Serially Correlated Errors


12:00 - 1:30 PM 
Lunch


1:30 PM
Mohsen Pourahmadi   Texas A&M University
Cholesky-log-GARCH Multivariate Volatility Models: Asset Ordination


2:10 PM 
David Stoffer   University of Pittsburgh
Stochastic Volatility: Not Just Another State Space Model


2:50 PM 
Concluding Remarks


 

Scientific Committee
Per Mykland and Wei Biao Wu


Local Organizing Committee
Per Mykland, Wei Biao Wu, and Mary King


Conference Location
5727 S. University
Chicago, IL 60637

 

The Stevanovich Center is supported by the generous philanthropy of University of Chicago Trustee Steve G. Stevanovich, AB '85, MBA '90.